Uses of Record Class
com.quantfinlib.risk.VarEngine.VarResult

Packages that use VarEngine.VarResult

Package	Description
com.quantfinlib.risk	Risk: measurement, decomposition, credit/limits, and model validation.

Uses of VarEngine.VarResult in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return VarEngine.VarResult

Modifier and Type	Method	Description
static VarEngine.VarResult	VarEngine.fullRevaluationVar(double[][] scenarios, VarEngine.ScenarioReval pricer, double confidence)	Full-revaluation VaR: every scenario repriced through the CALLER'S pricer — the method that sees what every sensitivity shortcut misses (a knocked-out barrier, a pinned short gamma, an autocall triggered by the scenario itself).
static VarEngine.VarResult	VarEngine.historicalVar(double[] exposures, double[][] factorReturns, double confidence)	Historical simulation: each row of factorReturns is one scenario replayed through the exposures.
static VarEngine.VarResult	VarEngine.monteCarloVar(double[] exposures, double[][] covariance, double confidence, int scenarios, long seed)